- 1
- At the moment of writing the stock exchanges were reaching new lows, which is not visible in these data until May 2002.
- 2
- See section 3.2, page ??, for an explanation. Separate ACFs of the returns are computed for each data series, but not presented here to save space. The tables are available upon request from the author.
- 3
- We also estimated the Sharpe-Lintner CAPMs for the 0.10, 0.25, 0.75 and 1% transaction costs cases. The estimation results for the separate stocks are not presented here to save space.
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